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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Bannör, K. F.; Scherer, M. 
Nicht-TUM Koautoren:
nein 
Kooperation:
Titel:
Capturing parameter uncertainty with convex risk measures 
Abstract:
Adequately specifying the parameters of a financial or actuarial model is challenging. In case of historical estimation, uncertainty arises through the estimator's volatility and possible bias. In case of market implied parameters, the solution of a calibration to market data might not be unique or the numerical routine returns a local instead of a global minimum. This paper provides a new method based on convex risk measures to quantify parameter risk and to translate it into prices, extending...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
European Actuarial Journal 
Jahr:
2013 
Band / Volume:
Heft / Issue:
Seitenangaben Beitrag:
97-132 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein